Bank of Tokyo-Mitsubishi, Industrial Bank of Japan, Royal Bank of Canada, CIBC Wood Gundy, Moody's Investors Service, Standard & Poor's, Arthur Andersen, Deloitte & Touche, Price Waterhouse, and KPMG Peat Marwick are a few of the companies lending their names to CreditMetrics, which seeks to define and measure credit risks within company portfolios and assess how they could affect financial performance.

"It will help lenders better measure credit risk concentrations and then relieve those concentrations through loan trading, securitization, and the use of credit derivatives," said Andy Shearer, director at KPMG's risk strategy practice.